Efficient Market Hypothesis in South Africa: Evidence from a threshold autoregressive (TAR) model

Dorathea Van Heerden, Jose Rodrigues, Dale Hockly, Bongani Lambert, Tjaart Taljard and Andrew Phiri

MPRA Paper from University Library of Munich, Germany

Abstract: This study deviates from the conventional use of a linear approach in testing for the efficiency market hypothesis (EMH) for the Johannesburg Stock Exchange (JSE) between the periods 2001:01 to 2013:07. By making use of a threshold autoregressive (TAR) model and corresponding asymmetric unit root tests, our study demonstrates how the stock market indexes evolve as highly persistent, nonlinear process and yet for a majority of the time series under observation, the formal unit root tests reject the hypothesis of stationarity among the variables. These results bridge two opposing contentions obtained from previous studies by concluding that while a number of stock prices under the JSE stock market may not evolve as pure unit root processes, the time series are, however, highly persistent to an extent of being able to be deemed as weak-form efficient.

Keywords: Keywords: Efficient Market Hypothesis (EMH); Johannesburg stock Exchange (JSE); South Africa; Threshold Autoregressive (TAR) model; Unit Roots. (search for similar items in EconPapers)
JEL-codes: C01 C13 C22 G10 (search for similar items in EconPapers)
Date: 2013-10-10
New Economics Papers: this item is included in nep-afr and nep-fmk
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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